ES: Expected Shortfall

In Strategy: Generic Framework to Analyze Trading Strategies

Description

Expected Shortfall of the assets or portfolio of an object of class Strategy.

Usage

ES(object, alpha=0.05, V=1
       , type="normal.distribution", method="full"
       , of="portfolio", from=NULL, until=NULL, which=NULL
       , scaling.periods=NULL, include.weights=TRUE
       , include.costs=TRUE, use.backtest=FALSE)

## S4 method for signature 'Strategy'
ES(object, alpha = 0.05, V = 1,
  type = c("normal.distribution", "historical"), method = c("full",
  "linear"), of = c("portfolio", "assets"), from = NULL, until = NULL,
  which = NULL, scaling.periods = NULL, include.weights = TRUE,
  include.costs = TRUE, use.backtest = FALSE)

Arguments

object	An object of class Strategy.
alpha	The significance level α that is used for probability of cumulative loss at level 1-α.
V	Volume that is invested. The linear factor for the ES calculation. Either a single value for portfolio or a vector for each asset.
type	Type of ES calculation. Use normal.distribution for the normal distribution, historical for the empirical distribution.
method	Method of loss calculation. Use linear for approximation with log returns or full for calculation with arithmetic returns.
of	ES to be calculated for assets separately or the portfolio.
from	The date in character format "yyyy-MM-dd" or as date-object from which losses shall be considered. If NULL, no restriction is made.
until	The date in character format "yyyy-MM-dd" or as date-object until which losses shall be considered. If NULL, no restriction is made.
which	Names or number of assets that should be included in calculation.
scaling.periods	Vector with annualization factors for calculation. Default is 252, 52, 12, 4, 1 for daily, weekly, monthly, quarterly and yearly data respectively.
include.weights	Only relevant if of="assets": If FALSE, weights are all set to 1. This might be necessary if only single stock performance without weighting shall be considered.
include.costs	If FALSE, the fixed and relative trading costs are NOT considered for ES calculation. Default value is TRUE. As default values for costs are 0, this argument is obsolete if no costs are given.
use.backtest	If TRUE, the performance of the backtesting output is considered for VaR calculation. If FALSE, the performance of the initial strategy execution are used.

Examples

##Not run:

# MA(200)-Strategy
params <- list(k=200)
myStrat.MA <- Strategy(assets=assets, strat="MA", strat.params=params)

# Get ES of MA(200)-Strategy portfolio
ES(myStrat.MA, from="2015-01-01", until="2015-12-31")

# Get backtest ES of MA(200)-Strategy (backtest would need to be executed first!)
# ES(myStrat.MA, from="2015-01-01", until="2015-12-31", use.backtest=TRUE)

##End(Not run)

Strategy documentation built on May 2, 2019, 2:09 a.m.